Evaluating portfolio value-at-risk using semi-parametric GARCH models

Jeroen V. K. Rombouts ...

Year of publication:	Dec. 2004
Other Persons:	Rombouts, Jeroen V. K. (contributor) ; Verbeek, Marno (contributor)
Publisher:	Rotterdam : ERIM
Subject:	Portfolio-Management \| Portfolio selection \| ARCH-Modell \| ARCH model \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Risikomaß \| Risk measure

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